and over 2 million other books are available for Amazon Kindle . Learn more


or
Sign in to turn on 1-Click ordering.
Trade in Yours
For a 14.50 Gift Card
Trade in
More Buying Choices
Have one to sell? Sell yours here
Sorry, this item is not available in
Image not available for
Colour:
Image not available

 
Start reading Forecasting, Structural Time Series Models and the Kalman... on your Kindle in under a minute.

Don't have a Kindle? Get your Kindle here, or download a FREE Kindle Reading App.

Forecasting, Structural Time Series Models and the Kalman Filter [Paperback]

Andrew C. Harvey
5.0 out of 5 stars  See all reviews (2 customer reviews)
RRP: 46.00
Price: 44.00 & FREE Delivery in the UK. Details
You Save: 2.00 (4%)
o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o o
Only 3 left in stock (more on the way).
Dispatched from and sold by Amazon. Gift-wrap available.
Want it Monday, 28 July? Choose Express delivery at checkout. Details

Formats

Amazon Price New from Used from
Kindle Edition 37.22  
Hardcover 67.92  
Paperback 44.00  
Trade In this Item for up to 14.50
Trade in Forecasting, Structural Time Series Models and the Kalman Filter for an Amazon Gift Card of up to 14.50, which you can then spend on millions of items across the site. Trade-in values may vary (terms apply). Learn more

Book Description

28 Feb 1991
In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Frequently Bought Together

Forecasting, Structural Time Series Models and the Kalman Filter + Time Series Analysis by State Space Methods: Second Edition (Oxford Statistical Science Series) + An Introduction to State Space Time Series Analysis (PRACTICAL ECONOMETRICS SERIES)
Price For All Three: 135.00

Buy the selected items together


Product details

  • Paperback: 572 pages
  • Publisher: Cambridge University Press; Reprint edition (28 Feb 1991)
  • Language: English
  • ISBN-10: 0521405734
  • ISBN-13: 978-0521405737
  • Product Dimensions: 23 x 15 x 4 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Bestsellers Rank: 389,039 in Books (See Top 100 in Books)
  • See Complete Table of Contents

More About the Author

Discover books, learn about writers, and more.

Product Description

Review

'… if you're looking for a state of the art monograph on applied aspects of state-space representations, and Kalman filtering … then Harvey's book is required reading.' Econometric Theory

Book Description

This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose. It is unique in its use of Kalman filtering with econometric and time series modelling.

Inside This Book (Learn More)
First Sentence
This chapter introduces the main issues involved in modelling time series. Read the first page
Explore More
Concordance
Browse Sample Pages
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
Search inside this book:

What Other Items Do Customers Buy After Viewing This Item?


Customer Reviews

4 star
0
3 star
0
2 star
0
1 star
0
5.0 out of 5 stars
5.0 out of 5 stars
Most Helpful Customer Reviews
2 of 2 people found the following review helpful
5.0 out of 5 stars The best presentation of Kalman I have seen 2 Feb 2007
Format:Paperback
Having tried to understand Kalman filtering from a large number of different books, Harveys book is the first one I've found that presents it in a form that is at the same time concise, clear as well as general. Many other book make omissions, suffer from unclear presentation or outright errors.

Kalman filtering is not an easy topic (at least not for an electrical engineering oriented mind like me), so doing things properly is of the highest importance. This book does just that.
Comment | 
Was this review helpful to you?
2 of 3 people found the following review helpful
5.0 out of 5 stars Great book 27 Jun 2010
Format:Paperback
A great book about State Space Modeling of Time Series and the use of Kalman Filters for prediction, filtering, smoothing etc. Recommended to everyone interested in Time Series Analysis.
Comment | 
Was this review helpful to you?
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 4.5 out of 5 stars  2 reviews
2 of 2 people found the following review helpful
5.0 out of 5 stars The reference book on the subject. Excellent. 24 Feb 2011
By Wayne Folta - Published on Amazon.com
Format:Paperback|Verified Purchase
This is the book that I've been looking for on State Space approaches to Time Series. As I was reading it, I was struck by how well written it is. It really puts almost all of my recent reading (on any topic) to shame. It's like being around a master craftsman who communicates well and really understands his stuff: it's striking.

The only negative thing I can say about it is that he introduces a lot of notation that builds on previous notation and it's not always easy to figure out where they first use a notation if you somehow missed or skipped that section. Other than that, he has good proofs, yet also a great writing style and good examples that they revisit through the book.
1 of 5 people found the following review helpful
4.0 out of 5 stars Excellent for reference and insights as well. 23 Jun 2008
By Randall S. Collica - Published on Amazon.com
Format:Paperback|Verified Purchase
Harvey's book is an excellent text on treatment of forecasting and structural time series models. Although I would say this book is really a text reference, he does add insights intewoven throughout the book.
Were these reviews helpful?   Let us know
Search Customer Reviews
Only search this product's reviews

Customer Discussions

This product's forum
Discussion Replies Latest Post
No discussions yet

Ask questions, Share opinions, Gain insight
Start a new discussion
Topic:
First post:
Prompts for sign-in
 

Search Customer Discussions
Search all Amazon discussions
   


Look for similar items by category


Feedback